Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0070
Annualized Std Dev 0.2336
Annualized Sharpe (Rf=0%) 0.0301

Row

Daily Return Statistics

Close
Observations 3542.0000
NAs 1.0000
Minimum -0.1510
Quartile 1 -0.0045
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0059
Maximum 0.2016
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0147
Skewness -0.4202
Kurtosis 27.4776

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0108
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6384
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0176
From Trough To Depth Length To Trough Recovery
2007-06-01 2008-11-20 2020-08-27 -0.6384 3335 374 2961
2021-02-18 2021-03-08 NA -0.0959 23 13 NA
2020-09-03 2020-09-24 2020-11-05 -0.0884 45 15 30
2021-01-25 2021-01-29 2021-02-09 -0.0538 12 5 7
2007-03-01 2007-04-23 2007-05-10 -0.0259 50 37 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.3 0 -0.5 -1.5 0 -2 2.9 1.9 -1.2 1.7 1 1.8
2008 1.8 -2 3 1.6 -0.7 -0.2 -0.3 -0.2 4.7 4 -10.5 3.2 3.5
2009 0 1.8 1.4 0.4 2.4 1.8 0.9 -2 -1.6 -2.6 1.5 1 5
2010 0.3 0.5 0.7 -1.4 -1.4 -1.4 0.4 1.7 0.4 0.4 1 -0.2 1.1
2011 0.2 -0.1 1.3 0.5 -0.1 1.2 0.3 -0.7 -1.7 -3.2 0.1 0 -2.3
2012 1.7 -0.2 0.9 0.3 -2 1.7 -0.2 -0.1 -0.2 1 0.1 1.2 4.1
2013 0.4 -0.3 0.1 0.4 -0.9 -0.1 0.9 -0.1 -0.1 -0.1 0.3 0.6 1.2
2014 -1 -0.2 0.8 -0.2 0 0.2 -0.3 0 -1 1.1 -1.5 0.6 -1.3
2015 -0.8 0 0.2 0.4 0.3 0.6 0.3 -2.2 -0.1 0.1 1 -0.2 -0.4
2016 0.2 1.7 -0.1 -0.3 0.3 0.7 -0.4 -0.8 0.8 -0.7 -0.7 -0.6 0.1
2017 0.1 0.4 0.1 0.2 0.8 0.3 0.6 0.3 0.2 0.4 -1.3 -0.3 1.8
2018 -0.1 -1.1 1.3 0.3 0.5 1.1 -0.9 -0.2 0.6 1.8 1.2 -0.5 3.9
2019 0 0.3 1 0 -2 0.9 -1.3 -0.2 -1.7 0.5 -0.3 0 -2.7
2020 -2 -3.6 -6.9 -2.9 1.8 0.3 1.2 0.4 0.5 -1.4 1.7 0.8 -10
2021 1.9 2.8 0.6 NA NA NA NA NA NA NA NA NA 5.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-23  25   SPY    145. -0.0039  -0.0034   0.0094   0.0342   0.124     0.268    0.342 GLD    67.7  0.0085   0.0197
2 2007-02-26  25.0 SPY    145. -0.0009  -0.0038   0.0205   0.0322   0.125     0.269    0.324 GLD    68.1  0.0056   0.0262
3 2007-02-27  25.0 SPY    140. -0.0391  -0.0448  -0.0187  -0.0101   0.078     0.214    0.252 GLD    65.4 -0.0395   0.0015
4 2007-02-28  25.1 SPY    141.  0.0103  -0.0346  -0.0079   0.0041   0.0886    0.226    0.267 GLD    66.5  0.0164  -0.0119
5 2007-03-01  25.1 SPY    141. -0.003   -0.0367  -0.016    0.0151   0.0958    0.222    0.258 GLD    65.8 -0.0099  -0.0198
6 2007-03-02  25.1 SPY    139. -0.0131  -0.0456  -0.0353  -0.0025   0.0719    0.194    0.248 GLD    63.7 -0.0321  -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart